the proxy feeds the information acquired from the server back to the web browser.

This can be good because:

The server thinks it's the proxy who's making the original request (unless the proxy forwards information which reveals who is making the request)

Caching Proxy servers store requested web-pages, images, and so on for later use, which saves bandwidth. Web-browsers also do caching, but are limited to one browser. Caching proxies are very useful in environments where 20-30 share a proxy. Small and fast caching proxies like Polipo can be very useful for personal use if you normally use 2-3 different web-browsers (or just different profiles in the same web-browser).

Filtering proxies like Privoxy remove advertisement, evil JavaScript, and so on. Such proxies can make your web-experience more enjoyable.

Polipo[1] is the best light-weight proxy available today. It's small and cute and uses little or no resources (apart from storage-space). This is a proxy every GNU/Linux user should consider.

Squid is the most commonly used proxy today and it is excellent for huge corporations who are willing to dedicate a computer just for doing proxy-services. Polipo is designed to be small and cute, Squid is designed to run on a dedicated box.

Open proxies are proxies who allow anyone to connect to them. Most proxies are private and are protected by a firewall or require a user-name and password. Open Proxies, on the other hand, can be used by everyone and anyone. This is extremely good for everyone.

Many open proxies are actually not meant to be open, they are just mis configurated or "fixed" by clever hackers.